Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0019 |
| Annualized Std Dev | 0.1596 |
| Annualized Sharpe (Rf=0%) | -0.0119 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5421.0000 |
| NAs | 1.0000 |
| Minimum | -0.1571 |
| Quartile 1 | -0.0039 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0044 |
| Maximum | 0.1506 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0101 |
| Skewness | -1.3161 |
| Kurtosis | 38.1690 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0076 |
| Gain Deviation | 0.0071 |
| Loss Deviation | 0.0091 |
| Downside Deviation (MAR=210%) | 0.0124 |
| Downside Deviation (Rf=0%) | 0.0076 |
| Downside Deviation (0%) | 0.0076 |
| Maximum Drawdown | 0.6534 |
| Historical VaR (95%) | -0.0139 |
| Historical ES (95%) | -0.0246 |
| Modified VaR (95%) | -0.0122 |
| Modified ES (95%) | -0.0122 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-01-29 | 2008-12-16 | NA | -0.6534 | 3562 | 477 | NA |
| 1999-10-07 | 2000-05-26 | 2003-06-13 | -0.2033 | 920 | 161 | 759 |
| 2004-02-24 | 2004-05-13 | 2005-06-09 | -0.1647 | 327 | 57 | 270 |
| 2003-07-01 | 2003-08-14 | 2004-01-26 | -0.1126 | 144 | 32 | 112 |
| 2006-08-30 | 2006-09-25 | 2006-11-30 | -0.0985 | 65 | 18 | 47 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | 0 | 0 | 2.7 | 1.5 | -0.5 | 3.7 |
| 2000 | -0.5 | 0.9 | 0.5 | 0.5 | 0 | 1 | 0 | 1.5 | -1.5 | -1 | -0.5 | 0.9 | 1.8 |
| 2001 | -0.9 | 2.4 | -0.7 | -0.1 | 0 | 0.1 | 0.3 | -0.2 | 0.3 | -0.4 | 0 | 0.6 | 1.3 |
| 2002 | 0 | 0.5 | -0.6 | 0.7 | -0.1 | -0.7 | 0.4 | -0.2 | 1.2 | -0.3 | 0.1 | 0 | 1 |
| 2003 | -0.1 | 0.2 | 0.2 | 1.2 | 0.1 | -0.1 | -1.4 | 0 | 0.4 | 0.3 | -0.1 | 1.3 | 2.1 |
| 2004 | -1.1 | -1 | -0.2 | -0.7 | 0.4 | 0 | 0.8 | 0.6 | -0.1 | -0.5 | 0.6 | 0.3 | -1 |
| 2005 | 0.5 | 0.3 | 0.6 | 0.8 | -0.1 | 0.7 | -0.6 | 0.2 | 0.6 | -0.5 | 0.7 | 0.3 | 3.5 |
| 2006 | -0.2 | -1.3 | -0.7 | 0.5 | 0.3 | 0.2 | 0.7 | -1.2 | -0.3 | 0.5 | 0.2 | 0.6 | -0.7 |
| 2007 | -0.7 | -0.4 | -0.1 | 0.8 | -0.4 | 0.9 | -0.7 | 1.1 | 0.9 | -0.2 | 0.3 | 0.6 | 2.1 |
| 2008 | -0.3 | -0.8 | 2.3 | 0.6 | -0.3 | 1 | 0 | -0.2 | 1.6 | -0.2 | 1.1 | 0.4 | 5.2 |
| 2009 | 0.3 | -1.1 | -0.5 | 0.7 | -0.6 | 0.2 | 0.5 | 0.8 | -0.3 | 0.8 | 0 | 0.4 | 1 |
| 2010 | 0 | 1.2 | 0.9 | 0.3 | 0.7 | 0 | 0.2 | -0.4 | 0.6 | -0.2 | -1.3 | 2.8 | 4.8 |
| 2011 | 0.6 | 0.8 | 0.8 | 0 | -0.2 | 0.9 | 1.8 | 0.4 | 0.4 | -0.1 | 0.7 | 0 | 6.2 |
| 2012 | 0.4 | 1.3 | 0.9 | -0.1 | 0.5 | 0.8 | -0.1 | 0.1 | 1.1 | -0.5 | 0.2 | 0.3 | 4.9 |
| 2013 | 0.7 | 0.6 | 0.1 | -0.1 | -2.6 | 0.5 | -0.5 | -0.2 | 0.3 | -1.3 | 0.3 | -1.7 | -3.7 |
| 2014 | 0.2 | 0.2 | -0.5 | 0.7 | -0.2 | -0.2 | -0.4 | 0.2 | 0.5 | -0.3 | 0.5 | 0.5 | 1 |
| 2015 | 0.7 | 0.9 | 0.3 | -0.5 | 0.7 | 0.1 | 0.7 | 0.2 | -0.1 | 0.6 | 0.5 | 0.7 | 4.9 |
| 2016 | 0.4 | 0.3 | 0.4 | 0.7 | 1.2 | -0.3 | 0.1 | 0.1 | 0.3 | 0.6 | -0.7 | 0.2 | 3.4 |
| 2017 | -0.1 | -0.4 | 0.3 | -0.3 | 0.4 | -0.4 | 0.6 | 0.1 | -0.1 | 0.2 | 0 | -0.4 | 0 |
| 2018 | -0.4 | -0.2 | 0.5 | 0 | 0 | -0.1 | 0.3 | 0 | 0.7 | 0.3 | 0.3 | 0.4 | 1.9 |
| 2019 | 0.3 | -0.1 | 0.1 | 0.3 | 0.1 | -0.6 | 0.3 | -0.5 | 0 | -0.1 | 0.5 | 0.1 | 0.4 |
| 2020 | 0.2 | -2.6 | -2.5 | 0.5 | 0.6 | 0.5 | 0.3 | 0.5 | 0.5 | 0 | 1.6 | 0.6 | 0.3 |
| 2021 | -0.1 | 0.4 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
